Same machine/Matlab, Different Versions of Dynare/Estimation Results

Estimation ML/Bayesian estimation
1

Hi,

I run Bayesian estimation of the Garcia-Cicco, Pancrazi, and Uribe (2010) model with dynare version 4.4.3 on Matlab 2014b, and it generates results that are close to the GPU results. However, if I use dynare version 4.5.6 on the same computer and same Matlab, it gives a very different estimation results, and are far away from the GPU results.

I also experimented with Matlab 2018b, or a different computer. The version of dynare seems to be the key to generate the different outcome. Does anyone know why?

Below is my specification of the estimation options:

estimation(datafile=data_uribe_argentina,mh_replic=10000,mh_nblocks=1,mh_drop=0.45,mh_jscale=0.8,mode_compute=6,nograph);

2

Hi,

It is difficult to say without running the files… We have made a lot of changes between 4.4.3 and 4.5.6. This may explain the difference. The bug fixes are visible here.

Best,
Stéphane.

3

Hi,
estimation with that paper is tricky. Convergence is very hard to achieve as the mode is close to the prior bounds. Thus, I am not surprised that you get different results.